Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0793
Annualized Std Dev 0.2657
Annualized Sharpe (Rf=0%) 0.2984

Row

Daily Return Statistics

Close
Observations 3528.0000
NAs 1.0000
Minimum -0.1180
Quartile 1 -0.0072
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0085
Maximum 0.1338
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0167
Skewness -0.1611
Kurtosis 7.2455

Downside Risk

Close
Semi Deviation 0.0120
Gain Deviation 0.0120
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0118
Downside Deviation (0%) 0.0118
Maximum Drawdown 0.6455
Historical VaR (95%) -0.0251
Historical ES (95%) -0.0392
Modified VaR (95%) -0.0254
Modified ES (95%) -0.0429
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2010-12-08 -0.6455 877 434 443
2018-08-30 2020-03-23 2021-01-06 -0.5161 592 392 200
2011-07-08 2011-10-03 2012-02-03 -0.2641 146 61 85
2015-04-16 2016-02-11 2016-11-11 -0.2556 400 209 191
2012-03-27 2012-06-04 2012-09-14 -0.1491 120 48 72

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -0.1 0.3 0.4 0.7 -1.1 -0.9 1.3 2.4 -3.8 0.1 -0.3 -1.1
2008 2.2 -2.7 2.5 0.7 -0.3 -0.7 -0.3 -0.9 -1.3 2.8 -9.9 6.5 -2.3
2009 -3.8 -0.7 2 2 4.9 1.9 0.4 -2.5 -3.7 -3.7 1.8 -1.3 -3.1
2010 0.4 1.5 0.3 -2.6 -2.3 -0.7 0 3.5 0.4 -0.6 1.6 -0.7 0.6
2011 2.4 -1.6 0.2 0.5 -2 1.4 -0.5 -2.9 -2.5 -3.4 0.8 -0.2 -7.8
2012 2.6 0.5 0 -0.4 -3 3.5 -1.3 0.5 0.6 1.1 -0.2 2.1 6
2013 1.2 0.1 -1.5 -2.1 -0.8 1.9 1.5 -1.9 1 -0.4 0.1 0.1 -1
2014 -0.6 0 1.2 -0.4 -0.3 1.2 -0.5 0.6 -1.3 1.6 -1.8 -0.4 -0.7
2015 -1.9 -0.7 0.1 0.4 -0.2 -0.3 0 -3 -0.4 -0.3 0.6 -0.9 -6.4
2016 -0.6 1.7 -0.1 -0.6 0.5 0.5 -0.3 -0.6 1.2 -1.2 0.1 -0.3 0.3
2017 0.1 1.2 0.4 0 2.1 -0.5 0.6 0.5 0.1 -0.6 -0.9 -0.8 2.3
2018 -0.2 -0.2 1 -0.3 0.8 -0.2 -0.3 0.4 -1.1 1.9 0.2 0.6 2.6
2019 0.3 0.5 1.6 -1.1 -1.8 0.1 -2.4 0 -1.9 1.9 -0.6 0.4 -3.1
2020 -2.4 -1.1 -6.5 -4.3 1 -2.2 -1.1 1.9 1.3 -1.4 1.3 0.3 -12.9
2021 2.2 3.3 0.5 NA NA NA NA NA NA NA NA NA 6.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-23  16.7 SPY    145. -0.0039  -0.0034   0.0094   0.0342   0.124     0.268    0.342 GLD    67.7  0.0085   0.0197
2 2007-02-26  16.7 SPY    145. -0.0009  -0.0038   0.0205   0.0322   0.125     0.269    0.324 GLD    68.1  0.0056   0.0262
3 2007-02-27  16.1 SPY    140. -0.0391  -0.0448  -0.0187  -0.0101   0.078     0.214    0.252 GLD    65.4 -0.0395   0.0015
4 2007-02-28  16.1 SPY    141.  0.0103  -0.0346  -0.0079   0.0041   0.0886    0.226    0.267 GLD    66.5  0.0164  -0.0119
5 2007-03-01  16.0 SPY    141. -0.003   -0.0367  -0.016    0.0151   0.0958    0.222    0.258 GLD    65.8 -0.0099  -0.0198
6 2007-03-02  15.8 SPY    139. -0.0131  -0.0456  -0.0353  -0.0025   0.0719    0.194    0.248 GLD    63.7 -0.0321  -0.0592
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart